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Sometimes I have difficulty remembering the specifics of an event, specifically if I'm tired or possibly have recently consumed alcohol. A close friend of mine has gotten me in the habit of specifically trying not to think about the details of what I'm trying to remember if I am unclear on them at any given moment. The reasoning is, if one starts to think about varions on what happened, trying "too hard" to remember the details of an event, then one might alter one's memory by the very act of trying to remember. Instead, I try to stop thinking about the details of the specific memory, and sometimes they will just come to me suddenly (often hours r days later).

Have any studies shown such a phenomenon to exist? Is it possible to create a false memory by trying to remember something that eludes you?

I don't know of any specific studies, but that was the take-away I had from Elizabeth Loftus's books, Witness for the Defense and The Myth of Repressed Memory. Apparently, when people try to remember things they "self-cue" similarly to how police, lawyers, and psychologists (from those books) can lead a witness to remember things that never happened by how they question them.
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William B SwiftFeb 16 '12 at 22:38

3 Answers
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A seminal paper by Roediger and McDermott (1995) observed that studying (similar to thinking about) materials was associated with a high likelihood of false recall and false recognition of materials similar to the studied items. This research has spawned hundreds of follow-up studies, none of which address your question entirely but converge on a plausible explanation: As you try to recall the specifics of the event, you likely recall a number of things that actually occurred (e.g., you were drinking rum, there was a pretty girl in the corner, and it was getting late). Considering these true specifics, however, according to this line of research, may introduce associated memories which never actually occurred (e.g., the pretty girl winked at you). Think these thoughts long enough and you'll have what's called a source monitoring error -- that is, you'll conflate thinking about the pretty girl winking with a memory that she actually did wink. That might be why you feel as if you had fewer false memories when you don't consider specifics -- there are fewer opportunities to make false associations. (It's also interesting to note that repeated testing, while improving "correct" memory, also enhances false memory. I can provide more links if you're interested.) If you're interested in other things that cause false memory (at least in these laboratory studies), here's a link.

Most of this is research my group is associated with, generally because I'm most familiar with that literature. I like this line of studies (called DRM studies) because they show false memories can be generated in a matter of moments (or "the morning after"). Loftus's work is fascinating, too, because she uses more naturalistic materials, those more pertinent to real life. Definitely two sides of the same coin.

William, I converted your previous answer into a comment, because it had no references, and said I don't know of any specific studies. But this is a good answer! I can combine the comment back into this answer if you prefer, please don't think I "didn't like" the other comment!
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Josh Gitlin♦Feb 17 '12 at 13:26

Well, the real name in this field is Elizabeth Loftus, and from this study, (which I vaguely remember learning about in first year psych) it appears that suggestions by others can lead to a belief in false memories.

Now, whether or not this can happen as a result of self-suggestion is, I believe, an open question (i have anecdotal evidence for myself, but that's probably not appropriate for here).